He doesn't care about bath time, but when it comes to specifically getting dressed, he wants to be in his room, with everyone out, and the the door shut.
He'll run around naked just fine after bath, but he wants to have privacy to get dressed.
And if he's changing clothes during the day, he won't want to be naked in front of anyone, and asks me to leave his room after laying out his change of clothes.
What's this about?

Re: 4.5 year old now wants privacy to dress? Boy...
Awe, he's growing up momma!
He is just getting some modesty about his body. Joey started the same way -- it was just getting dressed. It's as if they don't make the connection that they were just naked running from the shower to their room too! LOL But I give it another month and he will want to be fully covered after showering too. Joey doesn't EVER run around the house naked anymore (and he used to be a full on nudist!). He does run around in underwear but never without them.
My DD is exactly the same way. She was mortified yesterday when a friend's toddler tried to pull up DD's shirt and find her belly button. I think it just means they're growing up!
Ben started this a couple months ago....if he's getting dressed downstairs (if we have a lazy morning) he has to go to the bathroom to change. We always shut the bathroom door when going #1/2 also - but that's because of certain littler kids walking in all the time (and wanting to play in the toilet/with the toilet paper.
However, after bath when I'm putting lotion on everyone, he loves to run up and stand with his goods all in my face...that is apparently HILARIOUS.